[Lisa_teatalk] Fwd: COLLOQUE DES SCIENCES MATHÉMATIQUES DU QUÉBEC (30/10/2015, Emmanuel Candès)

Yoshua Bengio yoshua.bengio at gmail.com
Thu Oct 29 07:18:28 EDT 2015


---------- Forwarded message ----------
From: CRM <crm at crm.umontreal.ca>
Date: Mon, Oct 26, 2015 at 2:36 PM
Subject: COLLOQUE DES SCIENCES MATHÉMATIQUES DU QUÉBEC (30/10/2015,
Emmanuel Candès)
To: activites at crm.umontreal.ca


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COLLOQUE DES SCIENCES MATHÉMATIQUES DU QUÉBEC - Montréal

http://www.crm.umontreal.ca/Colloques/index.html

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DATE :
Le vendredi 30 octobre 2015 / Friday, October 30, 2015

HEURE / TIME :
16 h / 4:00 p.m.

CONFERENCIER(S) / SPEAKER(S) :
Emmanuel Candès (Stanford University)

TITRE / TITLE :
A knockoff filter for controlling the false discovery rate

LIEU / PLACE :
CRM, UdeM, Pav. André-Aisenstadt, 2920, ch. de la Tour, salle 6254

RESUME / ABSTRACT :
The big data era has created a new scientific paradigm: collect data first,
ask questions later.  Imagine that we observe a response variable together
with a large number of potential explanatory variables, and would like to
be able to discover which variables are truly associated with the response.
At the same time, we need to know that the false discovery rate (FDR)---the
expected fraction of false discoveries among all discoveries---is not too
high, in order to assure the scientist that most of the discoveries are
indeed true and replicable.  We introduce the knockoff filter, a new
variable selection procedure controlling the FDR in the statistical linear
model whenever there are at least as many observations as variables.  This
method works by constructing fake variables, knockoffs, which can then be
used as controls for the true variables; the method achieves exact FDR
control in finite sample settings no matter the design or covariates, the
number of variables in the model, and the amplitudes of the unknown
regression coefficients, and does not require any knowledge of the noise
level.  This is joint work with Rina Foygel Barber.

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Responsable(s) :
Yvan Saint-Aubin (yvan.saint-aubin at umontreal.ca)
Iosif Polterovich (iosif.polterovich at umontreal.ca)
Henri Darmon (darmon at math.mcgill.ca)
David A. Stephens (dstephens at math.mcgill.ca)
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